EUR 230 million of rated debt securities affected
Madrid, March 01, 2011 -- Moody's Investors Service has today assigned definitive credit ratings
to the following classes of notes issued by Serie AyT Colaterales Global
Hipotecario Caja Cantabria I, FTA:
....EUR203.5M A Notes, Definitive
Rating Assigned Aaa (sf)
....EUR12.7M B Notes, Definitive
Rating Assigned B2 (sf)
....EUR10.3M C Notes, Definitive
Rating Assigned Caa1 (sf)
....EUR3.5M D Notes, Definitive
Rating Assigned C (sf)
RATINGS RATIONALE
The ratings of the notes takes into account the credit quality of the
underlying mortgage loan pool, from which Moody's determined the
MILAN Aaa Credit Enhancement and the portfolio expected loss. The
expected portfolio loss of 4.50% and the MILAN Aaa required
Credit Enhancement of 14.00% served as input parameters
for Moody's cash flow model, which is based on a probabilistic lognormal
distribution as described in the report "The Lognormal Method Applied
to ABS Analysis", published in September 2000.
The key drivers for the MILAN Aaa Credit Enhancement, which is in
line with other prime Spanish RMBS deals, are the high weighted-average
current LTV of 80.27%, with 57.60% of
loans above 80% LTV, the high geographical concentration
in Cantabria of 80% of the pool mitigated by the high weighted
average seasoning of 5.07 years.
The key drivers for the expected loss, which is lower than the one
for other High LTV Spanish transactions, are the stable performance
for this transaction since closing in July 2008, the static historical
information on delinquencies and recoveries received from the originator
for its global mortgage book, balanced by the expected higher volatility
for High LTV loans, and the weak economic conditions in Spain.
The strengths of the structure are (i) a reserve fund fully funded upfront
equal to 3.50% of the initial notes balance (it currently
represents 3.59% of the outstanding balance of the notes)
to cover potential shortfall in interest and principal, and (ii)
a strong interest rate swap in place which provides a guaranteed excess
spread (0.50%) above Euribor to the transaction.
The rating addresses the expected loss posed to investors by the legal
final maturity of the notes. In Moody's opinion, the structure
allows for timely payment of interest and principal with respect of the
classes of notes A and B by the legal final maturity, and payment
of interest and principal with respect of the class of notes C and D by
the legal final maturity.
Moody's ratings only address the credit risk associated with the transaction.
Other non-credit risks have not been addressed, but may have
a significant effect on yield to investors.
The transaction closed in July 2008 and was initially not rated by Moody's.
The initial notes balance issued at closing (shown above next to the assigned
rating) amounted to EUR 230 million. The outstanding notes balance
as of the last payment date in September 2010 amounts to EUR 203 million.
Moody's rating analysis of the notes is based on the transaction structure
after the last payment date in September 2010. The next payment
date will take place in March 2011. The V Score for this transaction
is Medium, which is in line with the V score assigned for the Spanish
RMBS sector. Only three sub components underlying the V Score deviate
from the average for the Spanish RMBS sector. The Sector's Historical
Downgrade Rate, Transaction Complexity and Experience of Parties
are assessed as Medium, which are higher than the Low/Medium V score
assigned for the Spanish RMBS sector for those sub components.
This is due to the exposure of the transaction to High LTV's which have
suffered more downgrades than traditional mortgages pools in recent years
and because High LTV loans are more exposed to house price declines.
In addition Caja Cantabria, the originator and servicer has limited
previous securitisation experience.
V-Scores are a relative assessment of the quality of available
credit information and of the degree of dependence on various assumptions
used in determining the rating. High variability in key assumptions
could expose a rating to more likelihood of rating changes. The
V-Score has been assigned accordingly to the report "V-Scores
and Parameter Sensitivities in the Major EMEA RMBS Sectors" published
in April 2009.
Moody's Parameter Sensitivities: the model output indicated that
Class A would have achieved Aaa even if expected loss was as high as 13.5%
(3.0x base case) assuming Milan Aaa CE at 14.0% (base
case) and all other factors remained the same.The model output
further indicated that the Class A would not have achieved Aaa with Milan
Aaa CE of 16.8% (1.2x base case), and expected
loss of 4.5% (base case).
Moody's Parameter Sensitivities provide a quantitative/model-indicated
calculation of the number of rating notches that a Moody's structured
finance security may vary if certain input parameters used in the initial
rating process differed. The analysis assumes that the deal has
not aged and is not intended to measure how the rating of the security
might migrate over time, but rather how the initial rating of the
security might have differed if key rating input parameters were varied.
Parameter Sensitivities for the typical EMEA RMBS transaction are calculated
by stressing key variable inputs in Moody's primary rating model.
The principal methodologies used in this rating were Moody's updated methodology
for rating Spanish RMBS published in October 2009 and Cash Flow Analysis
in EMEA RMBS: Testing Structural Features with the MARCO Model (Moody's
Analyser of Residential Cash Flows) published in January 2006.
In addition, Moody's publishes a weekly summary of structured finance
credit, ratings and methodologies, available to all registered
users of our website, at www.moodys.com/SFQuickCheck.
Moody's Investors Service did not receive or take into account a third
party due diligence report on the underlying assets or financial instruments
in this transaction.
REGULATORY DISCLOSURES
The rating has been disclosed to the rated entity or its designated agents
and issued with no amendment resulting from that disclosure.
Information sources used to prepare the credit rating are the following:
parties involved in the ratings, parties not involved in the ratings,
public information, and confidential and proprietary Moody's Investors
Service information.
Moody's Investors Service considers the quality of information available
on the issuer or obligation satisfactory for the purposes of assigning
a credit rating.
Moody's Investors Service may have provided Ancillary or Other Permissible
Service(s) to the rated entity or its related third parties within the
three years preceding the Credit Rating Action. Please see the
ratings disclosure page www.moodys.com/disclosures on our
website for further information.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Please see ratings tab on the issuer/entity page on Moodys.com
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Investors Service's Credit Ratings were fully digitized
and accurate data may not be available. Consequently, Moody's
Investors Service provides a date that it believes is the most reliable
and accurate based on the information that is available to it.
Please see the ratings disclosure page on our website www.moodys.com
for further information.
Please see the Credit Policy page on Moodys.com for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Madrid
Mario Tarin
Analyst
Structured Finance Group
Moody's Investors Service Espana, S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neal Shah
MD - Structured Finance
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service Espana, S.A.
Barbara de Braganza, 2
Madrid 28004
Spain
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's Investors Service assigns definitive ratings to notes issued by Serie AyT Colaterales Global Hipotecario Caja Cantabria I, FTA
